Banca de QUALIFICAÇÃO: DIOGO DE MENEZES CORTÊS BEZERRA

Uma banca de QUALIFICAÇÃO de DOUTORADO foi cadastrada pelo programa.
STUDENT : DIOGO DE MENEZES CORTÊS BEZERRA
DATE: 16/03/2024
TIME: 08:30
LOCAL: VIDEOCONFERÊNCIA (link a ser informado no Forum do Sigaa)
TITLE:

ENSAIOS SOBRE AVALIAÇÃO DE EFICIÊNCIA DE FUNDOS DE PENSÃO BRASILEIROS: UMA ABORDAGEM COM ANÁLISE ENVOLTÓRIA DE DADOS E ÍNDICE DE SHARPE.

 

KEY WORDS:

Evaluation, Efficiency, Pension Funds, Supplementary pension, Benefits.

PAGES: 127
BIG AREA: Ciências Sociais Aplicadas
AREA: Administração
SUMMARY:

The measurement of efficiency is a crucial issue in various fields, particularly in sectors where resource allocation plays a significant role. Assessing efficiency in pension funds is essential to ensure financial health and the consistent fulfillment of long-term commitments to beneficiaries. This work presents three essays on the evaluation of Brazilian pension funds' efficiency and introduces a structured model for efficiency assessment. The first essay aimed to conduct a systematic literature review on the evaluation of pension funds efficiency, seeking to identify patterns of objectives, methodologies, results, and trends in fund assessment. Fourteen articles were selected from five distinct bibliographic databases: CAPES Journals, Scielo, Google Scholar, Web of Science, and Scopus. The articles were analyzed from three different perspectives: bibliometric analysis, correspondence analysis, and content analysis. The results highlighted that research on pension funds is still incipient, but there are emerging patterns, particularly regarding the predominant use of Data Envelopment Analysis (DEA) as the methodology. The second essay evaluates efficiency using DEA in conjunction with the Malmquist Index. Financial variables were chosen based on the literature and availability in financial statements issued by the funds and published by the National Superintendence of Complementary Pensions (PREVIC) from 2019 to 2023. The DEA model was applied in three steps: establishing a database consisting of 191 pension funds for the financial years 2019-2023, with 59 publicly sponsored and 132 privately sponsored funds; identifying input and output variables to assess the relative efficiency of the selected Decision Making Units (DMU); and finally, adopting the Malmquist DEA to calculate the productivity index. The results revealed a diverse range of fund sizes, with all input and output variables exhibiting a standard deviation greater than the mean. Furthermore, it showed that, during the analyzed period, the funds demonstrated a productive inefficiency of 8.141% in the Malmquist Index. The top 10 ranked funds had a higher-than-average financial asset value, indicating scale efficiency. It was not possible to conclude which type of fund is more efficient, public or private, due to the similar values of the Malmquist Index in both samples. The third essay evaluates the financial efficiency of pension funds using the Sharpe Ratio for the period 2020-2023. The Sharpe Ratio is a performance measure that assesses the return on investment relative to the assumed risk. This ratio compares the profitability of an asset or a portfolio with a risk-free investment, adjusting gains for volatility levels. The risk-free assets chosen for comparisons were the Ibovespa market index and the Certificate of Deposit Interbank (CDI), a significant benchmark for fixed-income assets. The results showed that 81 (150) pension funds had a Sharpe Ratio lower than 0 (zero) compared to the Ibovespa (CDI). This implies that, for the analyzed period, the chosen risk-free rate outperformed the investment portfolio of a considerable number of funds. Additionally, it acknowledges that research on fund evaluation needs to advance academically, as the lack of standardized analyses, along with various gaps in the literature, hinders the comparison of funds from different perspectives.

 

COMMITTEE MEMBERS:
Presidente - 3220688 - ALEXANDRO BARBOSA
Externo à Instituição - DANIEL KNEBEL BAGGIO - UNIJUI
Interno - 2864355 - ISRAEL JOSÉ DOS SANTOS FELIPE